Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0001 |
| Annualized Std Dev | 0.1519 |
| Annualized Sharpe (Rf=0%) | -0.0010 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5550.0000 |
| NAs | 1.0000 |
| Minimum | -0.2322 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1225 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0096 |
| Skewness | -2.4215 |
| Kurtosis | 85.9830 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0070 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0120 |
| Downside Deviation (Rf=0%) | 0.0070 |
| Downside Deviation (0%) | 0.0070 |
| Maximum Drawdown | 0.4013 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0213 |
| Modified VaR (95%) | -0.0046 |
| Modified ES (95%) | -0.0046 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2002-07-12 | 2008-10-09 | 2012-10-01 | -0.4013 | 2564 | 1564 | 1000 |
| 2016-09-16 | 2020-03-18 | NA | -0.3198 | 1135 | 881 | NA |
| 1999-05-03 | 2000-01-12 | 2002-07-10 | -0.2118 | 778 | 171 | 607 |
| 2012-10-02 | 2013-12-11 | 2016-02-16 | -0.1879 | 847 | 300 | 547 |
| 2016-03-04 | 2016-03-17 | 2016-06-27 | -0.0729 | 80 | 10 | 70 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.8 | 0.8 | 0 | 0.4 | 0 | 0.8 | -0.8 | 0.4 | 0 | 1.9 | -1 | 0 | 3.4 |
| 2000 | 0.5 | 0.5 | 0.5 | 1.4 | 0.4 | 0.4 | -0.4 | 0 | 0.4 | 0 | 0.5 | 1.4 | 5.6 |
| 2001 | 0.1 | 0.7 | 0.6 | 0.1 | -0.2 | 0 | 0.3 | -0.1 | 2 | 1 | 0.3 | 0.4 | 5.5 |
| 2002 | 0.4 | 0.1 | 0.9 | 0.9 | 0.3 | 1 | 0.5 | 0 | 1.1 | -0.1 | 0 | 0.2 | 5.4 |
| 2003 | -0.4 | 0.3 | -0.4 | -0.1 | -0.1 | 0.5 | 0.2 | 0.2 | 0.1 | 0.2 | 0 | -0.4 | 0 |
| 2004 | -0.3 | -0.1 | -0.5 | 0.4 | -0.2 | 0.7 | 0 | -0.1 | 1.1 | -0.4 | 1 | 0.5 | 2 |
| 2005 | 0.1 | -0.1 | 0.6 | 0.4 | 0.9 | 0.1 | 0 | 0.2 | -0.2 | -0.1 | 0.1 | 0.3 | 2.4 |
| 2006 | 0.1 | -0.4 | 0.4 | 0.1 | -0.1 | 0.1 | 0 | -0.1 | -0.6 | -0.1 | -0.2 | 0.6 | -0.1 |
| 2007 | 0.1 | 0.5 | -0.7 | -1 | -1 | -0.8 | 1.3 | 1.4 | -0.1 | 1.7 | -0.1 | 0.4 | 1.8 |
| 2008 | 0.3 | 0.1 | -0.5 | -0.2 | -0.8 | 0.9 | 1.1 | 0.4 | 7.1 | 1.1 | 0 | 3.3 | 13.3 |
| 2009 | 0.2 | 0.4 | 0.3 | 0.8 | 0.4 | 0.2 | 1.8 | 0 | 0.4 | -0.2 | -0.6 | 0.4 | 4.2 |
| 2010 | 0.5 | -0.2 | 0.5 | 0.3 | 0.5 | 0.1 | 0.3 | 0.1 | -0.2 | 0.1 | -0.3 | 0.9 | 2.5 |
| 2011 | -0.2 | 0.1 | 0.3 | 0.7 | -0.3 | 0.2 | -0.2 | -0.1 | -0.4 | 0.2 | 2.4 | 0.1 | 2.8 |
| 2012 | 1.4 | 0.8 | 0.3 | 0.5 | -0.3 | 0 | 0.1 | -1.2 | 1.3 | 0.3 | 0.3 | 0.5 | 3.9 |
| 2013 | 0.4 | -0.1 | -0.3 | 1.5 | -0.3 | 0.4 | -0.7 | 0 | 0 | -0.6 | -0.7 | 0.2 | -0.1 |
| 2014 | 0.2 | -0.1 | -0.3 | 0.7 | -0.8 | -0.3 | -0.3 | -0.5 | 0.5 | 0.8 | 0.1 | 0.5 | 0.6 |
| 2015 | 0.5 | 0.1 | 1 | 0.1 | 0.5 | -1.1 | 0.5 | 0.6 | 0 | 0.6 | 0.1 | -0.6 | 2.5 |
| 2016 | -1 | 1 | 0 | 1.1 | 0.9 | -0.3 | 0.8 | 0.2 | -1 | 0.3 | -1.6 | 0.5 | 0.9 |
| 2017 | -0.4 | 0.4 | -0.1 | -1.2 | -0.9 | -0.6 | 1.2 | -0.9 | 0.7 | -0.3 | -0.3 | -0.2 | -2.6 |
| 2018 | 0.4 | 0.1 | 0.1 | 0.1 | -0.6 | 0.1 | 0 | 0.4 | 1.5 | 2 | 0.6 | -0.5 | 4.3 |
| 2019 | 0.2 | 1.2 | -0.4 | -0.7 | -0.2 | 0.2 | 0.2 | 0 | 0 | 2.3 | 0.3 | 0.6 | 3.7 |
| 2020 | -0.2 | 0.3 | -2.4 | 0.6 | 0.1 | -1.3 | 0.6 | -0.7 | -0.2 | -0.2 | -0.9 | 0.4 | -3.8 |
| 2021 | -0.3 | 3.2 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
